Volatility Risk Premium, Return Predictability, and ESG Sentiment: Evidence from China’s Spots and Options’ Markets

Table 7

Correlation matrix of subsample volatility series.

	RVOL	iVIX	BSVOL	MFVOL
Panel A: Daily
RVOL	1
iVIX	0.4070	1
BSVOL	0.4126	0.9122	1
MFVOL	0.3024	0.7213	0.8131	1
Panel B: Monthly
RVOL	1
iVIX	0.3328	1
BSVOL	0.4001	0.9408	1
MFVOL	0.4885	0.5405	0.6177	1